A1667
Title: Funds performance evaluation: A review and a comparison
Authors: Spyros Vrontos - University of Essex (United Kingdom) [presenting]
Abstract: Extending previous work on mutual fund pricing, the idea of modelling the conditional distribution of mutual fund returns using a number of alternative models is introduced, taking into account the stylised facts of mutual fund return series. We evaluate mutual fund performance using multifactor asset pricing models, with the relevant risk factors being identified through standard model selection techniques. We explore potential impacts of our approach by analyzing individual mutual funds and show that it can be economically important.
